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Efficient Frontier using different risk return measures

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Efficient Frontier using different risk return measures



27 Aug 2012 (Updated )

Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures

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This code plots efficient frontier and calculates the optimal portfolio based on Mean-variance, mean-semi variance and mean-Value at Risk measures. Only 2 asset can be used with this code. The code loads data from excel file that contains one column for each asset returns (no date). VaR calculated using historical simulation method.

Required Products Optimization Toolbox
MATLAB release MATLAB 7.10 (R2010a)
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Comments and Ratings (3)
25 Oct 2015 Fahari Wasi

Hi,what can changing the weights and and the corp variable to incoperate more assets allow it to be used for several assets?

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23 Apr 2013 Eric Wu

There is a bug when I ran the code as is...

Line: w(:,1)=0:.0001:1; and next line.

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28 Aug 2012 Saurabh Yadav

I have added the comments to the updated code. Also the code is currently for 2 assets but it is very easy to modify for more assets if you know MATLAB. If needed I can modify . Let me know

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28 Aug 2012 1.1

Added comments to the code

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